Aaaaaand I was wrong. Apparently this is normal behavior. Here's a lovely explanation from StackOverflow:

Short answer: It is not possible in a cross-plattform, guaranteed-to-work way.

Long answer: Hyperlinks in a PDF are different from Hyperlinks in HTML. PDF was not designed to be viewed as part of a browsing experience. Hence there is no option available for PDF Hyperlinks to open them in a new tab, because PDF does not know about the concept of tabs.

I'm seeing the same behaviour...in Blackboard and outside. So you're not doing anything wrong. Or we both are!

I did some reading and it seems like that is the default behaviour when PDFs are viewed in a browser. I read you can stop the PDF opening in a browser and force it to use Adobe Reader, but then that will only apply to your machine, not others. Some pages suggest JavaScript, but warn it may not work on all browsers - and will give the user a warning each time anyway.

Aaaaaand I was wrong. Apparently this is normal behavior. Here's a lovely explanation from StackOverflow:

Short answer: It is not possible in a cross-plattform, guaranteed-to-work way.

Long answer: Hyperlinks in a PDF are different from Hyperlinks in HTML. PDF was not designed to be viewed as part of a browsing experience. Hence there is no option available for PDF Hyperlinks to open them in a new tab, because PDF does not know about the concept of tabs.